Seminar: Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process

Dear All,

You are cordially invited to attend Centre for Financial Risk seminar, Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process presented by Prof Kabanov from the University of Franche-Comté, Besançon, France. Please forward this invitation to your colleagues who may be interested to attend.

Abstract: We consider a model describing the evolution of capital of a venture company selling innovations and investing its reserve into a risky asset with the price given by a geometric Lévy process. We find the exact asymptotic of the ruin probabilities. Under some natural conditions it decays as a power function. The rate of decay is a positive root of equation determined by characteristics of the price process. When the price follows a gBm the results are reduced to those of our previous works where we used the method of ODEs assuming exponentially distributed jumps. Our proofs are based on the theory of distributional equations, in particular, on a recent result by Guivarc'h and Le Page.